Quantifying Credit Portfolio sensitivity to asset correlations with interpretable generative neural networks.
Sergio CaprioliEmanuele CaglieroRiccardo CrupiPublished in: CoRR (2023)
Keyphrases
- neural network
- transaction costs
- asset allocation
- portfolio management
- portfolio theory
- artificial neural networks
- generative model
- genetic algorithm
- data driven
- sensitivity analysis
- pattern recognition
- fuzzy logic
- credit card
- neural network model
- multi layer
- market data
- strongly correlated
- high sensitivity
- decision making
- credit scoring
- financial markets
- fraud detection
- multilayer perceptron
- self organizing maps
- fault diagnosis
- unsupervised learning
- highly correlated
- credit risk
- feed forward
- control system
- data mining
- data sets